The location of the treasure is listed in the bottom right-hand corner. It only tells you the coordinates of the island, not the island name. You can look up the coordinates on your global map to see where it takes you. The coordinates will lead you to the island where the treasure chest is buried, but once there, you will have to figure out where to dig on your own, by looking at the picture and the red "X" (alternatively, you can use the Treasure Map Tool)

Note that some locations may be inaccessible depending on how far along you are in the story, though you should find that most locations are unlocked after sequence 4.
Also note that some areas are underwater and may require a Diving Bell to access.

In the treasure map pictured above, the treasure is located on an island called Cape Bonavista (179,593).

This is the first treasure map you find in the game. It happens to be, that the treasure map and the treasure itself are located on the same island, but in most cases the treasure will be in a location far away from where you originally found the treasure map!